Short-Rate Expectations and Unexpected Returns in Treasury Bonds
研究发现投资者对短期利率的预期存在大而持久的错误，经济衰退和美联储宽松时期尤甚，导致低估债券回报；短期利率预测误差解释了国债超额收益的可预测性，而非时变风险溢价。
I document large and persistent errors in investors’ expectations about the short-term interest rate over the business cycle. The largest errors arise in economic downturns and during Fed easings when investors overestimate future short rates and, thus, underestimate future bond returns. At a one-year horizon, errors about the path of the real rate (as opposed to inflation) account for 80% of short-rate forecast error variance, with more than half of that number attributed to the Fed easing more aggressively than the public expected. Short-rate forecast errors induce ex post predictability of excess returns on Treasury bonds that is not due to time-varying risk premium. Received June 10, 2016; editorial decision February 1, 2018 by Editor Robin Greenwood. The author has furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.